From /includes/templates/template_default/common/tpl_footer.php:
PHP Code:
require(DIR_WS_MODULES . zen_get_module_directory('footer.php'));
Therefore, you would modify /includes/modules/footer.php amd save it as /includes/modules/your_template/footer.php.
There are header.php files in a number of places; are you sure you are looking at the right one?
There is no top-to-bottom comprehensive design tutorial yet, nor is there likely to be unless someone publishes a large book. There is a program flow diagram in Free Addons; otherwise, the forum generally remains the best source of info for a particular area.